You need to add a LinqToSql dbml to your solution somewhere. Just leave it blank. When you first click "Add" in dotNails on that dbml, it will ask for a connection string. You can view the exact steps in the video.

The best solution is to simply add the capability to create the dbml through the interface. This is on the short-list of features to add next.

Sorry you've been hit by this manual step. Anything that needs to be added to prevent manual steps is a priority in reaching the goal of a low barrier to entry.